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Economics
David Lowing
Summary: This paper investigates the cost allocation problem in energy distribution and proposes cost allocation rules based on the distribution network and consumer demands. By comparing different principles, a family of mixed rules is introduced and analyzed in terms of solution concepts in multi-choice games.
JOURNAL OF MATHEMATICAL ECONOMICS
(2024)
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Economics
John Rehbeck
Summary: This paper proposes a simple extension to analyze the impact of menu complexity on alternative choices and characterizes its mathematical properties. The research shows that, in some cases, people are more likely to choose the default option as the menu size increases. Furthermore, the study relates this model to the class of perturbed utility models.
JOURNAL OF MATHEMATICAL ECONOMICS
(2024)
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Economics
Emiliano Catonini, Nicodemo De Vito
Summary: We define notions of cautiousness and cautious belief to provide epistemic conditions for iterated admissibility in finite games. The behavioral implications of these epistemic assumptions are characterized by the solution concept of self-admissible set. We also show analogous results under alternative epistemic assumptions.
JOURNAL OF MATHEMATICAL ECONOMICS
(2024)
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Economics
Kathia Bahloul Zekkari
Summary: This paper examines the interaction between asset bubbles and endogenous growth, demonstrating the positive impact of asset bubbles on economic growth. Furthermore, it finds that under certain fiscal parameters, asset bubbles can enhance welfare.
JOURNAL OF MATHEMATICAL ECONOMICS
(2024)
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Economics
Stefano Barbieri, Iryna Topolyan
Summary: In this paper, we explore public randomization in group contests and introduce group public randomization equilibria (GPRE). We find that although there are multiple equilibria, refining the selection process to GPRE immune to coalitional deviations results in a unique equilibrium group-effort distribution, which has the highest expected total effort among all equilibria for identical groups composed of identical agents.
JOURNAL OF MATHEMATICAL ECONOMICS
(2024)
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Economics
Hongfei Wang, Binghui Liu, Long Feng, Yanyuan Ma
Summary: This study addresses the problem of testing mutual independence of high-dimensional random vectors and proposes a series of high-dimensional rank-based max-sum tests. Through extensive simulations and real data analysis, the superiority of these tests is demonstrated.
JOURNAL OF ECONOMETRICS
(2024)
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Economics
Koki Fusejima
Summary: In this paper, sufficient conditions for identifying treatment effects on continuous outcomes are established in endogenous and multi-valued discrete treatment settings with unobserved heterogeneity. The monotonicity assumption for multi-valued discrete treatments and instruments is employed, and the identification condition has a clear economic interpretation. Additionally, the local treatment effects in multi-valued treatment settings are identified, and closed-form expressions of the identified treatment effects are derived.
JOURNAL OF ECONOMETRICS
(2024)
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Economics
Xiaohong Chen, Ying Liu, Shujie Ma, Zheng Zhang
Summary: This paper proposes a generalized optimization framework using artificial neural networks (ANNs) to estimate general treatment effects by adjusting for confounders. The research shows that this method can effectively alleviate the curse of dimensionality.
JOURNAL OF ECONOMETRICS
(2024)
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Economics
Weilun Zhou, Jiti Gao, David Harris, Hsein Kew
Summary: This paper discusses the estimation of a semi-parametric single-index regression model that allows for nonlinear predictive relationships. The presence of cointegrated predictors balances the nonstationarity properties of the predictors with the stationarity properties of asset returns and avoids the curse of dimensionality. In an empirical application, it is found that using cointegrated predictors produces better out-of-sample forecasts.
JOURNAL OF ECONOMETRICS
(2024)
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Economics
Eric Beutner, Alexander Heinemann, Stephan Smeekes
Summary: This paper proposes a fixed-design residual bootstrap method for the two-step estimator associated with the conditional Value-at-Risk. The consistency of the bootstrap is proven for a general class of volatility models, and intervals are constructed for the conditional Value-at-Risk. Simulation results show that the reversed-tails bootstrap interval provides accurate coverage compared to the equal-tailed percentile bootstrap interval.
JOURNAL OF ECONOMETRICS
(2024)
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Economics
Jean-Jacques Forneron
Summary: This paper develops an approach to detect identification failure in moment condition models by introducing a quasi-Jacobian matrix. The quasi-Jacobian matrix is singular when local and/or global identification fails, and equivalent to the usual Jacobian matrix when the model is globally and locally identified. A simple test is introduced to conduct subvector inferences allowing for various levels of identification without prior knowledge about the underlying identification structure.
JOURNAL OF ECONOMETRICS
(2024)
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Economics
Junlong Feng
Summary: This paper presents a new method for handling models in economics with a discrete endogenous variable and an instrument that takes on fewer values. It matches pairs of covariates and instruments to achieve point-identification of the outcome function. The paper also provides estimators for the outcome function and illustrates the usefulness and limitations of the method through two empirical examples.
JOURNAL OF ECONOMETRICS
(2024)
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Economics
Marc Henry, Romuald Meango, Ismael Mourifie
Summary: This study aims to explore women's choices of university majors, particularly their under representation in mathematics intensive fields and the impact of role models on choices and outcomes. We analyze data from a German graduate survey and use the mother's education level and the proportion of women on the STEM faculty at the time of major choice as selection shifters.
JOURNAL OF ECONOMETRICS
(2024)
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Economics
Karim Chalak
Summary: This paper generalizes the Gini-Frisch bounds to accommodate nonparametric heterogeneous effects and provides suitable conditions for their application in nonparametric nonseparable equations.
JOURNAL OF ECONOMETRICS
(2024)
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Economics
Ji Hyung Lee, Yuya Sasaki, Alexis Akira Toda, Yulong Wang
Summary: Administrative data, often presented as tabulated summaries for confidentiality reasons, can be more easily accessed in this form. In this study, the authors propose a novel nonparametric density estimation method based on maximum entropy and demonstrate its consistent results. The method does not require tuning parameters and provides a closed-form density for further analysis. The authors apply this method to estimate the income distribution using tabulated summary data from U.S. tax returns.
JOURNAL OF ECONOMETRICS
(2024)
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Economics
Sascha Gunther, Peter Hieber
Summary: The financial return of equity-indexed annuities depends on an underlying fund or investment portfolio complemented by an investment guarantee. This study introduces a novel scenario-matrix method for valuation and risk management, specifically for the cliquet-style or ratchet-type guarantee. Numerical tests show that this method outperforms existing approaches in terms of computation time and accuracy.
INSURANCE MATHEMATICS & ECONOMICS
(2024)
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Economics
Bingjie Wang, Jinzhu Li
Summary: This paper focuses on the asymptotic behavior of a popular risk measure called the tail moment (TM). The study reveals precise asymptotic results for the TM under scenarios where individual risks are mutually independent or have a specific dependence structure. Furthermore, the article provides an analysis of the relative errors between the asymptotic results and the exact values.
INSURANCE MATHEMATICS & ECONOMICS
(2024)
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Economics
Andres Aradillas-Lopez
Summary: This paper focuses on how to make inferences using control-function bounds when the control functions are unobserved, and analyzes the properties of this inferential procedure.
JOURNAL OF ECONOMETRICS
(2024)
Article
Economics
Federico M. Bandi, Davide Pirino, Roberto Reno
Summary: The article examines the staleness of asset prices, including systematic (market-wide) staleness and idiosyncratic (asset specific) staleness. The authors provide a limit theory based on joint asymptotics, utilizing increasingly-frequent observations and an increasing number of assets. They introduce novel structural estimates of systematic and idiosyncratic measures of liquidity obtained solely from transaction prices, and assess the economic signal contained in these estimates using suitable metrics.
JOURNAL OF ECONOMETRICS
(2024)
Article
Economics
Guangyuan Gao
Summary: This article proposes a new method for fitting the Tweedie model, which uses the EM algorithm to address heterogeneous dispersion and estimate the power variance parameter.
INSURANCE MATHEMATICS & ECONOMICS
(2024)
